Hello Ricardo,
I tried your suggestion to run with highest privileges, but the file is still not written.

It is very strange as this used to work fine up until a few days ago after a computer crash....

EDIT: I copied the action in the test task shown above and played around with the save path (and disabled the original action).
I was able to save the file on a different drive. I then went back to the original drive and tried several different directories, and it suddenly it started to work in the original directory.
I then enabled the original action again and now this also worked (thus, there wasn't a typo in the original path).
This is very strange. Not sure why it stopped working and then started working again - nothing changed as far as I know....

The behavior you describe is not normal behavior. Is it possible the original location had updates as far as permissions or privileges. Updates or modifications?

The location was an external USB hard drive. As far as I know, there has not been any changes to permission and privileges.
Another peculiarity (probably not related) is that the keyboard shortcut to start the task sometimes doesn't work (nothing happens - I need to start it form Task Administrator. The solution then is to reboot for it to work again..

In any case, everything is working again, so it is difficult to troubleshoot.
I will get back to this post if this happens again.